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2016-06-16: IAQF/Thalesians Seminar Series

"Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds."

BY: Dr. Tobias Adrian

Date & Time: Thursday, June 16

                    5:45 PM Registration
                    6:00 PM Seminar Begins
                    7:30 PM Reception

Location: NYU Kimmel Center

               Room 914
               60 Washington Square South
               New York, New York 10012

Abstract:

We document a highly significant, strongly nonlinear dependence of stock and bond returns on past equity-market volatility as measured by the VIX. We propose a new estimator for the shape of the nonlinear forecasting relationship that exploits additional variation in the cross section of returns. The nonlinearities are mirror images for stocks and bonds, revealing flight to safety: Expected returns increase for stocks when volatility increases from moderate to high levels, while they decline for Treasuries. We further demonstrate that these findings are evidence of dynamic asset pricing theories where the time variation of the price of risk is a function of the level of the VIX.

Bio: 

Tobias Adrian is a Senior Vice President of the Federal Reserve Bank of New York and the Associate Director of Research and Statistics Group. His research covers asset pricing, financial intermediation, and macroeconomics, with a focus on the aggregate implications of capital market developments. He has contributed to the NY Fed's financial stability policy and to its monetary policy briefings. Tobias Adrian holds a Ph.D. from MIT and a MSc from LSE. He has taught at MIT, Princeton University, and NYU.

 

About the Series: 

The IAQF -Thalesians Seminar Series is a joint effort on the part of the IAQF (www.iaqf.org) and the Thalesians (www.thalesians.com).  The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance.  This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion.    

 

 

Registration:
 

Complimentary for IAQF members
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$25.00 for Thalesians Members
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 Non-Members can also click here to register for $25.00